RiskManagementandFinancialInstitutionsCorrelationsandCopulas幻灯片.pptxVIP

Risk Management and Financial Institutions11Correlations Copulas11.1 Definition of CorrelationVariableExpected Value Standard Deviation VarianceCovarianceCoefficient of Correlation V1 E(V1)V2E(V2)V1 and V2 are independent-- the knowledge of one does not affect the probability distribution for the otherIndependence is Not the Same as Zero CorrelationSuppose V1 = –1, 0, or +1, If V1 = -1 or V1 = +1 then V2 = 1,If V1 = 0 then V2 = 0 V2 is clearly dependent on V1 (and vice versa) but the coefficient of correlation is 011.1 Definition of CorrelationE(Y)E(Y)E(Y)XXX(a)(c)(b)Types of Dependence (Fig